arXiv research

The paper defines normal forms for rational 3-tangles and shows a sequence of moves to transform one form to another.

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian Lévy process of not necessarily bounded variation with a Lévy measure concentrated on $(-1,\infty)$. We prove stro…

This paper is a further extension of the method proposed in Itkin, 2014 as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few steps. First, a second-order operator splitting on financial processes (diffusion and jumps) is …

We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three cases: subcritical, critical and supercritical. In the subcritical case we prove weak …

The paper introduces walks with jumps for modeling neuron activity in hyperbolic space.

In this paper a classification of Reidemeister moves, which is the most refined, is introduced. In particular, this classification distinguishes some $Ω_3$-moves that only differ in how the three strands that are involved in the move are ordered on the knot. To transform knot diagrams of isotopic knots into each other …

Develops a new model for pricing without arbitrage opportunities.

A new model reconciles rough volatility and jumps.

Develops efficient methods for approximating densities of financial models with jumps.

Enhances RJMCMC efficiency with non-linear transport-based proposals.

Robustly detects jumps in high-frequency CIR and CKLS models.

Unified framework for efficient trans-dimensional Bayesian inference using VI and NFs.

Normal forms and invariants for nondegenerate hypersurfaces in C^2.

New model prices options with complex market data structures.

Study short-maturity VIX and European option prices with jumps.

Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter estimation for such processes require ergodicity in order establish consistency and asymptotic normality of the associat…

Estimation of the covariance matrix of asset returns from high frequency data is complicated by asynchronous returns, market mi- crostructure noise and jumps. One technique for addressing both asynchronous returns and market microstructure is the Kalman-EM (KEM) algorithm. However the KEM approach assumes log-normal pr…

New PDMP samplers tackle variable selection in models.

This paper estimates VaR for corn and soybean markets using jump processes.

Study of height jumps in Ceresa cycle using asymptotic Hodge theory.

The paper models stock returns using $q$-Gaussians and negative binomials.

This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function for two market models featuring joint normally distributed jumps, stochastic vol…

We investigate the geometry of the Kodaira moduli space $M$ of sections of $π:Z\to {\mathbb P}^1$, the normal bundle of which is allowed to jump from ${\mathcal O}(1)^{n}$ to ${\mathcal O}(1)^{n-2m}\oplus {\mathcal O}(2)^{m}\oplus {\mathcal O}^{m}$. In particular, we identify the natural assumptions which guarantee tha…

The paper provides approximations for pricing Asian options using a mixed fractional Brownian motion with jumps.

We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used for pricing Swing options. We deal with the jump constraint by a penalization p…

For any integer $k$ we construct an explicit example of a twistor space which contains a one--parameter family of jumping rational curves, where the normal bundle changes from $O(1)+O(1)$ to $O(k)+O(2-k)$. For $k>3$ the resulting anti--self--dual Ricci-flat manifold is a Zariski cone in the space of holomorphic section…

Researchers create normal forms for CR manifolds in complex space.

Proves convergence of normal forms for infinite-dimensional Lie pseudo-group actions.

The estimation of normalizing constants is a fundamental step in probabilistic model comparison. Sequential Monte Carlo methods may be used for this task and have the advantage of being inherently parallelizable. However, the standard choice of using a fixed number of particles at each iteration is suboptimal because s…

Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for the discounted foreign exchange rate. Using these values of the parameters we find a risk-neural measure and provide new formulas for the di…

New model estimates corporate defaults using pure jump processes, capturing extreme events.

Develops new Markov processes with switching rates and past dependence.

Suppose $K$ is an unknot lying in the 1-skeleton of a triangulated 3-manifold with $t$ tetrahedra. Hass and Lagarias showed there is an upper bound, depending only on $t$, for the minimal number of elementary moves to untangle $K$. We give a simpler proof, utilizing a normal form for surfaces whose boundary is containe…

We show that in any $\mathbb{Q}$-Gorenstein flat family of klt singularities, normalized volumes can only jump down at countably many subvarieties. A quick consequence is that smooth points have the largest normalized volume among all klt singularities. Using an alternative characterization of K-semistability developed…

The model outperforms other models in option pricing, especially for short-term implied volatility.

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies statistical jumps in metrop…

Extends option pricing framework without risk-free asset using Levy jumps.

The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to detect the change time as soon as possible in order to re-evaluate a new fair v…

This paper extends subordinated models to include stochastic time changes, improving financial modeling.

A normal pseudomanifold is a pseudomanifold in which the links of simplices are also pseudomanifolds. So, a normal 2-pseudomanifold triangulates a connected closed 2-manifold. But, normal $d$-pseudomanifolds form a broader class than triangulations of connected closed $d$-manifolds for $d \geq 3$. Here, we classify all…

A curve is rectifying if it lies on a moving hyperplane orthogonal to its curvature vector. In this work, we extend the main result of [Chen 2017, Tamkang J. Math. 48, 209] to any space dimension: we prove that rectifying curves are geodesics on hypercones. We later use this association to characterize rectifying curve…

Non-spanning identification of scheduled event risk in option pricing.

A virtual link diagram is called normal if the associated abstract link diagram is checkerboard colorable, and a virtual link is normal if it has a normal diagram as a representative.In this paper, we introduce a method of converting a virtual link diagram to a normal virtual link diagram by use of the double covering …

We define homology of ternary algebras satisfying axioms derived from particle scattering or, equivalently, from the third Reidemeister move. We show that ternary quasigroups satisfying these axioms appear naturally in invariants of Reidemeister, Yoshikawa, and Roseman moves. Our homology has a degenerate subcomplex. T…

Complete normal forms for specific real hypersurfaces in complex space are constructed.

We show that some ternary quasigroups appear naturally as invariants of classical links and links on surfaces. We also note how to obtain from them invariants of Yoshikawa moves. In our previous paper, we defined homology theory for algebras satisfying two axioms derived from the third Reidemeister move. In this paper,…

In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the well-known result by Alos (2012) for Heston (1993) SV model. Moreover, explicit approximation formulas for option prices are…

We describe the induced geometry on several classes of Kodaira moduli spaces of rational curves in twistor spaces. By constructing connections and frames on the moduli spaces we build and review twistor theories pertaining to relativistic and non-relativistic geometries. Focussing on the cases of three- and five-dimens…